I run a small-medium sized web site that targets K-12 teachers. We started out small with very targeted ads, advertising on Google with a budget of $10/day and started making decent sales. We were doing so well that we decided to try Yahoo. We used the exact same ads and the exact same keywords as the ones for Google that were doing well. We put $100 in our Yahoo ads account to start with, and burned through the whole amount in 4 days without a single sale. Needless to say, we turned it off immediately and have never tried it again. Now we are making many more sales from our Google ads. I don't see how Yahoo's search marketing can be so inefficient and terrible.
BTW, we also tried MSN/Live search and it's been active for about a year with a $20/day budget. The amount of money we give Microsoft every month is about $5. In other words, Microsoft search has absolutely no volume at all.